Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0606
Annualized Std Dev 0.2838
Annualized Sharpe (Rf=0%) -0.2137

Row

Daily Return Statistics

Close
Observations 4441.0000
NAs 1.0000
Minimum -0.2786
Quartile 1 -0.0052
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0059
Maximum 0.2256
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0004
Variance 0.0003
Stdev 0.0179
Skewness -1.3874
Kurtosis 37.8601

Downside Risk

Close
Semi Deviation 0.0135
Gain Deviation 0.0135
Loss Deviation 0.0171
Downside Deviation (MAR=210%) 0.0175
Downside Deviation (Rf=0%) 0.0135
Downside Deviation (0%) 0.0135
Maximum Drawdown 0.8564
Historical VaR (95%) -0.0216
Historical ES (95%) -0.0446
Modified VaR (95%) -0.0222
Modified ES (95%) -0.0222
From Trough To Depth Length To Trough Recovery
2007-04-23 2020-03-18 NA -0.8564 3504 3250 NA
2004-01-14 2004-05-10 2004-12-27 -0.1914 240 81 159
2004-12-28 2005-04-18 2007-04-09 -0.1447 573 77 496
2003-08-04 2003-09-29 2003-12-02 -0.0500 85 40 45
2003-12-12 2003-12-16 2003-12-22 -0.0144 7 3 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA 0.1 0 0.3 0.6 0.9 -0.3 1.6
2004 1.1 0.5 0.1 1.3 -1.4 0.6 0.2 -0.2 1.1 0.7 0.8 0 4.9
2005 1.1 0.6 -0.6 -0.4 -0.5 0.9 0.5 0.5 0.9 -0.3 -0.1 -0.6 2
2006 0.7 0.3 -0.3 0 1.3 -0.3 0.3 0.1 0.1 -0.4 0.2 0.3 2.3
2007 0.1 0 0.3 -0.3 0.4 0.2 -2 1.3 0 -1.4 4.2 0.7 3.4
2008 0.9 -3.3 3.2 1 -0.5 0.8 1.3 0.2 5.2 3.2 -12 5.9 4.7
2009 -3 -5.8 3.1 6.2 3.5 2.2 3.6 -0.5 -1.8 -2.7 1.8 -0.2 5.9
2010 3.3 1.7 0.2 0.7 -0.7 -1.8 0.4 1.9 -0.8 0.2 0.3 1.3 7
2011 0.4 -0.8 0.2 -0.3 -0.2 1.6 3.1 1.1 -1 -1.3 2.2 0.4 5.3
2012 1.1 0.9 1.3 0.6 -1 1.5 0.5 0.5 0.3 1.5 -0.6 2.1 8.9
2013 0.2 -0.1 0.5 0.3 0.1 0.7 0.9 0.5 0.9 0.3 0.2 0.6 5.2
2014 -0.2 0.6 0.4 0.8 -0.3 0.1 -2 0.7 1.2 0.1 -0.3 4.7 6
2015 -0.1 1.2 0 -0.5 1 2.1 0 0.5 -3 1.3 1.4 5.9 9.9
2016 0.2 3.1 0.4 -0.6 0.8 0.4 0.2 0.7 0.3 -1.4 -0.4 0 3.8
2017 -0.2 0 1 0.3 0.5 0 0.3 -0.2 0.2 -0.5 0.3 1 2.8
2018 -0.5 -0.7 1.4 -0.3 1.2 0.8 -0.2 0.3 0.5 0.5 0.2 0.7 4
2019 0.2 1.3 1 0.4 -1 0.6 -0.2 -0.2 -0.2 0.8 0.4 0.4 3.5
2020 -0.6 -4.4 -9.9 -1.7 1.9 0.8 1 1.6 1.2 -2.2 0 1.2 -11.2
2021 2 3.2 0.4 NA NA NA NA NA NA NA NA NA 5.7

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart